Motivated by some biological applications, a new integral equation is proposed to determine first-passage-time p.d.f.’s for one dimensional diffusion processes, which is particularly suitable for computational purposes. The case of Wiener process and Ornstein-Uhlenbeck processes are discussed into some details both with respect to closed form solutions and to approximate evaluations.
A new algorithmic approach to first-passage-time problems / Buonocore, Aniello; A. G., Nobile; Ricciardi, LUIGI MARIA. - STAMPA. - (1986), pp. 359-366. (Intervento presentato al convegno Eighth European Meeting on Cybernetics and Systems Research tenutosi a Vienna nel April 1-4, 1986).
A new algorithmic approach to first-passage-time problems
BUONOCORE, ANIELLO;RICCIARDI, LUIGI MARIA
1986
Abstract
Motivated by some biological applications, a new integral equation is proposed to determine first-passage-time p.d.f.’s for one dimensional diffusion processes, which is particularly suitable for computational purposes. The case of Wiener process and Ornstein-Uhlenbeck processes are discussed into some details both with respect to closed form solutions and to approximate evaluations.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
